Retorts:
"My goat is encased in a block of cement and buried beneath the earth's crust! He's not going anywhere."

Insults about the security of one's goat:
"Your goat is roaming around free in your front yard with a sign around his neck that says 'FREE GOAT'. I'd barely have to shake a stick, and your goat would come running."

Additional Note:
If the process of goat-getting is taking place in an email conversation, further taunting can be achieved by sending a picture of the newly acquired goat.

The saying "Get Your Goat" supposedly originated from the early horse racing days, where goats were kept with nervous race horses to keep them calm before the race, and if you wanted to beat the competition you would get their goat causing their horse to become agitated and unable to race. (from: http://goathavenfarm.tripod.com/)